Most new cars feels very detached from the road in my opinion. I've driven the 3 series for a few thousand miles, and it's a brilliant car with excellent handling and an awesome auto transmission.
One of those times was at Malaga. They tried to give me a 316d. Make sure you reject it - tell them you're driving up and down mountains. It's 114bhp and underpowered. 320d is minimum for a 3 series. It is however a very comfortable car, regardless of engine.
The 520d feels underpowered, but it's entirely possible they only have 520d/525d in PDAR. The 5 is more of a wafter; the 3 you can throw around corners a bit easier.
They also have Audis at Malaga airport.
Make sure you inspect the vehicle before signing anything. They will tell you there's no scratches, but in my experience, that's rarely true.